Aggregate real exchange rate persistence through the lens of sectoral data

Laura Mayoral and María Gadea ()

Journal of Monetary Economics, 2011, vol. 58, issue 3, 290-304

Abstract: A novel approach to analyzing real exchange rate (RER) persistence and its sources is presented. Using highly disaggregated data for a group of EU-15 countries, it is shown that the distribution of sectoral persistence is highly heterogeneous and skewed to the right, so that a limited number of sectors are responsible for the high levels of persistence observed at the aggregate level. Quantile regression has been employed to investigate whether traditional theories, such as the lack of arbitrage due to nontradability or imperfect competition combined with price stickiness, are able to account for the slow reversion to parity of RERs.

Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:58:y:2011:i:3:p:290-304

DOI: 10.1016/j.jmoneco.2011.06.003

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